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Mean univariate-GARCH VaR portfolio optimization : actual portfolio approach
Ranković, Vladimir; Drenovak, Mikica; Urosevic, Branko; … - 2016
In accordance with Basel Capital Accords, the Capital Requirements (CR) for market risk exposure of banks is a nonlinear function of Value-at-Risk (VaR). Importantly, the CR is calculated based on a bank’s actual portfolio, i.e. the portfolio represented by its current holdings. To tackle...
Persistent link: https://www.econbiz.de/10011420698
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Property insurance, portfolio selection and their interdependence
Chang, Fwu-ranq (contributor) - 2008
Persistent link: https://www.econbiz.de/10003662865
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Illusion of expertise in portfolio decisions : an experimental approach
Fellner, Gerlinde; Güth, Werner; Maciejovsky, Boris - 2001
Overall, 72 subjects invest their endowment in four risky assets. Each com-bination of assets yields the same expected return and variance of returns. Illusion of expertise prevails when one prefers nevertheless the self-selected portfolio. After being randomly assigned to groups of four...
Persistent link: https://www.econbiz.de/10011408429
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The design of pension pay out options when the health status during retirement is uncertain
Kifmann, Mathias (contributor) - 2008
Persistent link: https://www.econbiz.de/10003635223
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Application of stochastic optimal control to financial market debt crises
Stein, Jerome L. - 2009
This interdisciplinary paper explains how mathematical techniques of stochastic optimal control can be applied to the recent subprime mortgage crisis. Why did the financial markets fail to anticipate the recent debt crisis, despite the large literature in mathematical finance concerning optimal...
Persistent link: https://www.econbiz.de/10003807893
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On the equivalence between labor and consumption taxation
Panteghini, Paolo - 2009
This article studies the equivalence between labor and consumption taxes in a stochastic context, where the government can undertake an active portfolio management strategy by investing in both risk-free and risky assets. Using a two-period model we show that such taxes let consumers make the...
Persistent link: https://www.econbiz.de/10003820652
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Optimality and diversifiability of mean variance and arbitrage pricing portfolios
Pesaran, M. Hashem; Zaffaroni, Paolo - 2009
This paper investigates the limit properties of mean-variance (mv) and arbitrage pricing (ap) trading strategies using a general dynamic factor model, as the number of assets diverge to infinity. It extends the results obtained in the literature for the exact pricing case to two other cases of...
Persistent link: https://www.econbiz.de/10003910456
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Rank dependent utility, tax evasion and labor supply
Eide, Erling; Simson, Kristine von; Strøm, Steinar - 2010
payers act according to some non-expected utility theory, and (2) Individual ethical norms and social stigma induce people … subjective probabilities of being penalised according to the rank dependent utility theory, and (2) Tax payers' beliefs about … utility theory. The model explains data 53% better than pure random choices and predicts hours worked in the regular economy …
Persistent link: https://www.econbiz.de/10008697806
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Modeling optimism and pessimism in the foreign exchange market
De Grauwe, Paul (contributor);  … - 2007
Persistent link: https://www.econbiz.de/10003496811
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Intergenerational risk-sharing and risk-taking of a pension fund
Gollier, Christian (contributor) - 2007
Persistent link: https://www.econbiz.de/10003496853